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https://www.youtube.com/watch?v=QndkRbDfM2w
Jan 20, 2009 - Uploaded by simplysoldstore
Euro Pro Sewing Machine. ... on piece on top then runs downthe right side of long and around the bottom up ...

Overstock.com
Rating: 4.4 - ‎5 votes - ‎$119.99 - ‎Out of stock
Shop for Euro Pro Mechanical 30 Stitch Sewing Machine. ... I can sew in the middle of the night and not worry about waking anyone up, it is so quiet, and it sews ...

Have you checked your tension for the thread and material? Is the same thread and in the bobbin too?
If you can tell where i t,is getting caught, does this not solve your problem? Is the plastic thread feeder, rough? you can use very fine emery paper to smooth it out. :-)

Click the link on the right-hand side of the page below the text box, which reads "Customer Service: Click Here." This will direct you to a contact page.

call the number listed at the bottom of the text box for placing an order, 800-798-7395. Because no direct number is given for customer service, requests to contact a representative are fielded through this number

Hi
Try looking on here:http://www.sewusa.com/Sewing_Machine_Threading_Diagrams.htm
Although your model number is not listed, they do have threading diagrams for other Euro-pro machines. Perhaps one is similar enough to your machine to allow you to thread it and get started.
I'm not sure what's happened to the Euro-pro site, it seems to have been taken over by Shark and no longer has a sewing machine manuals section as it did before.
Hope this helps!